You can on Linux (that option was implanted recently). Then again Epic still did not make the Linux Client, so I guess I try to make you happy with a dead cat...
I'll chime in on this, since we've already got Splitscreen vs LAN, PC vs 360, 360 vs PS3, so obviously we're all picking sides but I'm hard pressed to feel too partisan except for Linux. Consider your bandwagon joined
Ironically though this is probably how I'll be playing UT3 for some time to come, since although I haven't bought it myself for lack of a Linux client (it's a good game, but not good enough to convince me to boot into Windows, even all ideological/political reasons aside), but, and here's where I get on-topic here,
this is absolutely perfect for joking around in silly self-made levels!
My one friend has been fiddling with a simple level of his with little tricks, such as for example a slit in the floor that one can slide into if feigning death at the bottom of a staircase. Endless fun has been had flinging our poor playerpawn down those stairs trying to slide into that hole. Throw
two players (or three! or four!) in being able to dick around like this all at once? Dear Lords of Kobol I can hardly imagine how much fun this'll be. And of course, since it's mostly simple BSP and light static mesh use the performance hit won't even come close to choking the Windows box.
An endless horizon of possibilities stretches outwards in front of us, my friends . . .